Σχέση μεταξύ αναμενόμενης απόδοσης μετοχών, χρηματιστηριακής αξίας και δείκτη Ρ/Ε
SubjectΔιαχείριση χαρτοφυλακίου ; Μετοχές -- Τιμές -- Μαθηματικά μοντέλα ; Κεφαλαιαγορά ; Ανάλυση παλινδρόμησης
In previous years, a lot of studies have been done, in order to test the relationship between expected return, P/E ratio and market value of common stocks. Rolf W. Banz (1979) realized a negative relationship between expected returns and market values of common stocks. Also, S. Basu (1977) realized that there is a negative relationship between expected returns and P/E ratio of common stocks. The purpose of this study is to examine the relationship between expected return, P/E ratio and market value of common stocks for five European stock markets (the stock markets of Greece, Ireland, Portugal, Germany, and Finland), in three different periods 2000-2003, 2004-2007, 2008-2011. The results showed that the relationship between expected return, market value and P/E ratio, depends on the country, its economic cycle and holds for specific combinations of P/E and Market Value of stocks.